DOCSLIB.ORG

Handlowy to a Buy From

Total Page：16

File Type：pdf, Size：1020Kb

Download full-text PDF Read full-text
Handlowy to a Buy From Banks | Poland Recommendation upgrade We upgrade our rating for Handlowy to a Buy from Handlowy Neutral with TP down to PLN 81 from PLN 86 We lift our EPS estimates by 4% in 2018E and cut by Buy (from Neutral) 3% in 2019E TP: PLN 81 20 June 2018 08:00 30.10.2015 High yielding bank with strong earnings momentum. Company data Rating Buy Upgrade to a Buy. Target Price (PLN) 81.0 We cut our 12M TP for Handlowy to PLN 81 from PLN 86 previously, but due to share Market Price (PLN) 67.0 price drop we upgrade the stock to a Buy from Neutral. On the back of 1Q18 results Upside/downside 21% Previous rating Neutral we increased our 2018E EPS estimates by 4%, but to reflect changes in expected Previous Target Price (PLN) 86.0 interest rates hikes we cut our 2019E forecasts by 3%. We see 5 reasons that make Min (52W) 62.1 Handlowy attractive, in our view: 1) it is attractively valued – at 1YF P/E Handlowy is Max (52W) 81.3 Market cap (PLNm) 8,754 trading with 17/18% discount to 1/3Y average, 2) it may appear to be the last (and only) high yielding bank in Poland, 3) it offers the second best EPS growth in 2018E Shareholders % (24% YoY), 4) it is free of CHF-related risk, 5) While downside risks are limited, we see Citibank Overseas 75.0% Other 25.0% an upside risk coming from faster than currently expected interest rates hikes. Changes to 2018E and 2019E estimates. On the back of 4Q17 and 1Q18 results we lift Company description Handlowy is a universal bank in Poland with our 2018E adjusted earnings estimates by 4% (to PLN 655m). To reflect changes in 2.5% market share in assets, c. 2% in loans and expected interest rate hikes (we now assume 25bp hike in 4Q19 vs. 2x25bp in 3/4Q18 2.5% in deposits. Corporate loans stand for over 60% of the bank’s loan book and retail previously) we cut our 2019E adjusted earnings estimates by 3% (to PLN 717m). Our loans are dominated by consumer lending (c. 2018/19E forecast are 2% above and 1% below consensus, respectively. 30% of the loan book, incl. 14% in credit cards). PLN denominated mortgage loans stand for 8% Second best EPS growth among Polish banks in 2018E. In 2017 Handlowy’s adjusted net of the bank’s book. At the end of 1Q18 profit was 3% down YoY due to rising provisions, higher costs and lower financial income. Handlowy had 24 branches. However, in 2018E we expect Handlowy to see the second-best EPS growth (+24% YoY) Handlowy vs. WIG vs. WIG Banks 12M among 9 banks in our coverage supported by rising NII (7% YoY), lower provisions (-34% relative price performance rebased YoY) and higher financial and other income (+9% YoY). We note, that while in 1Q18 100 Handlowy reported very strong AFS gains, solid financial result and low provisions, we do not expect the numbers to be repeated in the following quarters. 90 80 The last (and only) high-yielding bank in Poland? After paying 100% of 2017 earnings as a dividend we expect Handlowy to continue its dividend policy over the next years 70 and from 2018 earnings expect DPS PLN 5.0 and DY 7.5%. While we assume a decent 60 payout also in Pekao (DY 7.3%), the bank’s dividend policy may be changed if it decides cze 17 wrz 17 gru 17 mar 18 to take an advantage of M&A opportunities. BHW WIG WIG Banki Valuation attractive in relative and historical terms. At our estimates Handlowy is Source: Bloomberg, Vestor DM trading at 13.4x 2018E P/E and 1.24x P/BV, in line with peers. Given high dividend yield, strong EPS growth and no regulatory (CHF) risk, we see the bank’s valuation as attractive. We note, that Handlowy is trading with 17/18% discount to 1/3Y average at 1YF P/E and with 10/11% discount at 1YF P/BV. Figure 1. Handlowy – Key data, 2015-2020E 2015 2016 2017 2018E 2019E 2020E Net profit (PLNm) 626 602 536 664 717 787 YoY change (%) -34% -4% -11% 24% 8% 10% Adjusted net profit (PLNm) 679 544 527 655 717 787 YoY change (%) -28% -20% -3% 24% 10% 10% ROE adjusted (%) 9.5% 8.0% 7.7% 9.3% 10.1% 11.0% Michał Fidelus P/E adjusted (x) 12.9 16.1 16.6 13.4 12.2 11.1 Head of Research P/BV (x) 1.28 1.29 1.26 1.24 1.23 1.21 (+48) 22 378 9212 DPS (PLN)* 4.7 4.5 4.1 5.0 5.4 6.0 [email protected] DY (%)* 7.0% 6.8% 6.1% 7.5% 8.1% 8.9% * from the year’s earnings. Source: Company data, Vestor DM estimates All prices are those current at the end of June 19, 2018,17:30 unless otherwise indicated. Prices are sourced from local exchanges via Reuters, Bloomberg and other vendors. Data is sourced from Vestor DM and subject companies. Investors should consider this report as only a single factor in making their investment decision. This document is an investment research within the meaning of article 36.1 Commission Delegated Regulation (EU) 2017/565 of 25 April 2016 supplementing Directive 2014/65/EU of the European Parliament and of the Council as regards organizational requirements and operating conditions for investment firms and defined terms for the purposes of that Directive. Handlowy | June 2018 DISCLAIMER This report has been prepared by Vestor Dom Maklerski S.A. (“Vestor”), with its registered office in Warsaw, al. Jana Pawła II 22, 00-133 Warsaw, registered by the District Court for the capital city Warsaw, XII Commercial Division of the National Court Register under the number KRS 0000277384, Taxpayer Identification No. 1080003081, with share capital amounting to PLN 1 811 570 fully paid up, entity that is subject to the regulations of the Act on Trading in Financial Instruments dated July 29th 2005 (Journal of Laws of 2017, item 1768 - consolidated text, further amended), Act on Public Offering, Conditions Governing the Introduction of Financial Instruments to Organised Trading, and Public Companies dated July 29th 2005 (Journal of Laws of 2016, item 1639 consolidated text, further amended), Act on Capital Market Supervision dated July 29th 2005 (Journal of Laws of 2016 item 1289 consolidated text, further amended). Vestor is subject to the supervision of the Polish Financial Supervisory Authority (“PFSA”) and this document has been prepared within the legal scope of the activity of Vestor. This document is an investment research within the meaning of article 36.1 Commission Delegated Regulation (EU) 2017/565 of 25 April 2016 supplementing Directive 2014/65/EU of the European Parliament and of the Council as regards organisational requirements and operating conditions for investment firms and defined terms for the purposes of that Directive. This document is a recommendation within the meaning of the "Delegated Commission Regulation (EU) No 2016/958 of 9 March 2016 supplementing Regulation (EU) No 596/2014 of the European Parliament and of the Council with regard to regulatory technical standards regarding technical means for objective purposes presentation of investment recommendations or other information recommending or suggesting an investment strategy and disclosure of particular interests or indications of conflicts of interest”. Please note that this research was originally prepared and issued by Vestor for distribution to their market professional and institutional investors as defined under the above indicated regulations and to other qualified customers of Vestor entitled to gain recommendations based on the brokerage services agreements. Recipients who are not market professional or institutional investor customers of Vestor should seek the advice of their independent financial advisor prior to taking any investment decision based on this report or for any necessary explanation of its contents. Vestor may not have taken any steps to ensure that the financial instruments referred to in this report are suitable for any particular investor, therefore in the preparation of this document Vestor not take into account individual needs and situation of the investor.. Vestor will not treat recipients of this report as its customers by virtue of their receiving this report. The investments and services contained or referred to in this report may not be suitable for you and it is recommended that you consult an independent investment advisor if you are in doubt about such investments or investment services. Recipients must make their own determination of the appropriateness of an investment in any instruments referred to herein based on the merits and risks involved, their own investment strategy and their legal, fiscal and financial position. Recipients of this report must make their own determination of the appropriateness of an investment in any instruments referred to herein based on the merits and risks involved, their own investment strategy and their legal and financial position. Nothing in this report constitutes investment, legal, accounting or tax advice, or a representation that any investment or strategy is suitable or appropriate to your individual circumstances, or otherwise constitutes a personal recommendation to you. Vestor does not advise on the tax consequences of investments and you are advised to contact an independent tax adviser. Please note in particular that the bases and levels of taxation may change. This report is for information purposes only and (i) does not constitute or form part of any offer for sale or subscription of or solicitation of any offer to buy or subscribe for any financial instruments, (ii) is neither intended as such an offer for sale or subscription of or solicitation of an offer to buy or subscribe for any financial instruments (iii) as an advertisement thereof.
Load more

Recommended publications
  • Enea, Energa, LPP, Pekao, PGE, Pgnig, Tauron, Asseco Poland
    Dziennik 21 listopada 2018 r. Najważniejsze informacje: Indeksy GPW zmiana WIG otw. 55 635,5 0,1% Enea, Energa - Udział banków w finansowaniu bloku w Elektrowni Ostrołęka wyniesie 30-35% - WIG zam. 55 205,5 -1,3% Tchórzewski obrót (mln PLN) 880,0 -2,3% Energa - Energa rozpoczyna budowę hybrydowego magazynu energii WIG 20 otw. 2 181,1 0,4% LPP - LPP spodziewa się w przyszłości raczej jednocyfrowych wzrostów sprzedaży LFL WIG 20 zam. 2 160,6 -1,3% FW20 otw. 2 177,0 0,7% LPP - LPP uważa, że utrzymanie w ‘19 podobnych marż rdr jest ambitne, ale możliwe FW20 zam. 2 163,0 -1,1% LPP - LPP chce w '19 zwiększyć sprzedaż dwucyfrowo mWIG40 otw. 3 813,3 -0,2% Pekao - Pekao podtrzymuje cele strategii do '20; koszty ryzyka mogą wzrosnąć do ok. 50 pb mWIG40 zam. 3 772,3 -1,2% PGE - PGE podpisało umowę na dostawę węgla z PGG o szacowanej wartości 5,25 mld PLN Największe wzrosty kurs zmiana PGNiG - Zysk netto grupy PGNiG w III kw '18 wyniósł 554 mln PLN, zgodnie z szacunkami Grupa Azoty 28,00 6,1% Tauron - Tauron szacuje, że przychody grupy z rynku mocy w '21 wyniosą 642,25 mln PLN LiveChat Software 27,40 3,8% Sektor energetyczny - Cena w aukcji rynku mocy na rok 2021 wynosi 240,32 PLN/kW/rok PZU 40,40 2,3% ING BSK 182,00 1,7% Asseco Poland - Wyniki Asseco Poland w III kw. 2018 roku vs. konsensus PAP 11 bit studios 235,00 1,1% Asseco Poland - Portfel zamówień grupy Asseco na '18 ma wartość 8,786 mld PLN Atal - Wyniki Atalu w III kw.
    [Show full text]
  • Using the Idea of Market-Expected Return
    BUSINESS, MANAGEMENT AND EDUCATION ISSN 2029-7491 print / ISSN 2029-6169 online 2012, 10(1): 11–24 doi:10.3846/bme.2012.02 USING THE IDEA OF MARKET-EXPECTED RETURN RATES ON INVESTED CAPITAL IN THE VERIFICATION OF CONFORMITY OF MARKET EVALUATION OF STOCK-LISTED COMPANIES WITH THEIR INTRINSIC VALUE Paweł Mielcarz1, Emilia Roman2 1Kozminski University, Jagiellonska 57/59, 03-301 Warsaw, Poland 2DCF Consulting Sp. z o.o., Kochanowskiego 24, 05-071 Sulejowek, Poland E-mails: [email protected] (corresponding author); [email protected] Received 02 October 2011; accepted 07 March 2012 Abstract. This article presents the concept of investor-expected rates of return on capital of listed companies and the use of these rates in the assessment of the extent to which the stock evaluation of a given entity is compatible with its intrinsic value. The article also features results of the research aimed at verification – with the use of the presented tool – of whether the market value of WSE-listed companies reflects their fundamental value. The calculations presented in the empirical part of the article show that at the beginning of 2011, market evaluation of the most of the analysed entities greatly exceeded their fundamental value. Keywords: DCF, EVA, valuation, capital markets, fundamental analysis, ROIC, intrinsic value. Reference to this paper should be made as follows: Mielcarz, P.; Roman, E. 2012. Using the idea of market-expected return rates on invested capital in the verifica- tion of conformity of market evaluation of stock-listed companies with their intrin- sic value, Business, Management and Education 10(1): 11–24.
    [Show full text]
  • Poland Is Promoted to Developed Market Status by Ftse Russell
    POLAND IS PROMOTED TO DEVELOPED MARKET STATUS BY FTSE RUSSELL As of 24 September 2018, Poland is classified as a Key issues Developed market by FTSE Russell. This promotion to the highest possible status in FTSE Russell's classifications is a • About FTSE Russell and FTSE significant achievement and a recognition of continuous Global Equity Index Series enhancements of the capital markets infrastructure and (GEIS) steady economic growth in Poland. Poland is now among the • International context eight largest economies in the European Union (EU) and 25 • For whom is Poland's promotion relevant? largest economies in the world. • Status of some Polish blue chips • Further implications ABOUT FTSE RUSSELL AND FTSE GLOBAL EQUITY INDEX SERIES (GEIS) FTSE Russell, a subsidiary of the London Stock Exchange Group, is a provider of stock market indices and associated data services, one of the largest in the world. FTSE Global Equity Index Series (GEIS) is a benchmark measuring the performance of global equity markets. According to FTSE Russell, FTSE GEIS looks at around 7,400 large-, mid- and small-cap stocks across 47 countries, with a total net market capitalization of USD 52 trillion, covering approximately 98 percent of the world’s investable market. FTSE Russell classifies markets using four categories: Developed, Advanced Emerging, Secondary Emerging and Frontier. Developed market status means that apart from market quality and size criteria being met, the country is considered as having high gross national income with developed market infrastructures. When determining a country's status, FTSE Russell measures, amongst other things, the market quality (regulatory framework, transactional landscape, derivatives market, etc.), adequateness of the market size, consistency and predictability, stability and market access (ease of investment and disinvestment).
    [Show full text]
  • Podstawowe Algorytmy Indeksów Giełdowych
    WIG30 – WSE Main List equity index rules On 31 July 2013 On September 23, 2013 the Warsaw Stock Exchange begins dissemination of the WIG30 index. It will cover 30 the largest and most liquid (blue-chip) Information companies listed on the WSE Main Market. In the future, a new index will replace, the 19-year-calculated WIG20 index. WIG30 is a price index (total Index name: WIG30 return version also available), the base value is 2,582.98 points. Base date: 31 December 2012 Base value: 2,582.98 WIG30 index top 15 constituents* Index launch: 23 September 2013 Value of Basic criteria Weight No Company Industry shares (%) (PLN m) number of shares in free float higher than 10%; value of shares in free float higher than € 1 M; 1 PKOBP Banking 18 158,44 10,0% the company cannot be marked in any specific 2 PZU Insurance 18 158,06 10,0% manner (eg. bankruptcy); 3 PEKAO Banking 18 158,41 10,0% the company may not be eligible to MINUS5 and ALERT LISTS segments and assigned to the Lower 4 KGHM Basic materials 15 141,51 8,3% Liquidity Space. 5 PKNORLEN Oil and gas 13 469,41 7,4% Methodology 6 PGE Energy 10 782,18 5,9% 7 PGNIG Oil and gas 10 094,82 5,6% Constituents of the WIG30 index are 30 companies with the highest position in the Ranking selected 8 BZWBK Banking 9 119,07 5,0% based on data following the last session of 9 LPP Retail 6 486,75 3,6% February, May, August and November.
    [Show full text]
  • PDF-Xchange 4.0 Examples
    LPP SA CONSOLIDATED ANNUAL REPORT FOR 2017 WorldReginfo - 4d580e7d-3eab-4027-8636-47e5aa3917c7 SOCIALLY RESPONSIBLE COMPANY POLISH COMPANY FAMILY-RUN COMPANY WorldReginfo - 4d580e7d-3eab-4027-8636-47e5aa3917c7 SOCIALLY RESPONSIBLE COMPANY Ethical Manufacturing responsibly Caring for workplaces Giving support to its employees and partners Environmentally friendly POLISH COMPANY Our roots are in Poland All strategic decisions are made in Poland All our concepts are designed in Poland Our brand concepts have been made in Poland We pay all due taxes in Poland Our key shareholders live in Poland FAMILY-RUN COMPANY Created and managed by Polish entrepreneurs – partners from student years Family-based capital and determination to preserve status quo Stability and long-term vision matched with large investments is at the heart of our development instead of consuming profit, The welfare of the company and its people is more important than the company’s short-term profits WorldReginfo - 4d580e7d-3eab-4027-8636-47e5aa3917c7 WorldReginfo - 4d580e7d-3eab-4027-8636-47e5aa3917c7 Contents 01. Letter from the President of the Management Board to the Shareholders ……………………………….6 02. Non-Financial Information……..8 03. Selected Financial Data of the LPP SA CG for the years 2016- 2017…………………………………………15 04. Report of the Management Board on the Operations of the LPP SA CG for 2017…………………………17 05. Consolidated Financial Statements for 2017…………………60 06. Statement of the Management Board……………………………………...114 The Reserved store at the prestigious Oxford Street in West End London WorldReginfo - 4d580e7d-3eab-4027-8636-47e5aa3917c7 LPP SA | 5 01 sincerely want LPP to be a contemporary developing company with Polish roots, with our added value being its strength.
    [Show full text]
  • National Champions. How They Foster Human Capital
    National Champions How They Foster Human Capital 2020 Edition AUTHORED BY: Adam Czerniak The present report was prepared in partnership with Polpharma S.A. Chief Economist Its contents are impartial and objective. Our partner did not influence its thesis nor its content. All rights reserved. Monika Helak Researcher Polityka Insight to pierwsza w Polsce platforma wiedzy dla liderów biznesu, TRANSLATED BY: decydentów politycznych i dyplomatów. Działa od 2013 r. i ma trzy linie biznesowe: wydaje serwisy analityczne dostępne w abonamentach (PI Premium, Małgorzata Szymczak PI Finance i PI Energy), przygotowuje opracowania, prezentacje i szkolenia Aleksandra Tomaszewska na zlecenie firm, administracji publicznej i organizacji międzynarodowych oraz organizuje debaty tematyczne i konferencje. GRAPHIC DESIGN: www.politykainsight.pl Kinga Pałasz Warsaw, July 2020 2 Polityka Insight National Champions TOP 10 of 2020 National Champions 4 Table of Contents What Is Human Capital 6 The Labour Market In Poland 10 The Government And Businesses For Human Capital 12 The Labour Market And Human Capital After The COVID-19 Pandemic 16 How Can Poland’s Human Capital Be Fostered? 17 Recommendations 19 The Marks of a National Champion 20 This Year’s Top Performers 21 Changes Since The Previous Edition 25 Classifications Of Champions In Individual Categories 27 Economy 28 Sector 29 International Presence 30 Innovation 31 Classification Of Champions By Key Sectors 32 Classification Of Champions By Ownership 34 Special Index – Human Capital 35 Full results 36 Economy
    [Show full text]
  • Institutional Bvg/Lpp Flexible Fund
    INSTITUTIONAL BVG/LPP FLEXIBLE FUND Jahresbericht 2020 per 31. August 2020 (geprüft) Vertraglicher Anlagefonds schweizerischen Rechts der Art „Übrige Fonds für traditionelle Anlagen“ für qualifizierte Anleger aufgelegt durch die Fondsleitung GAM Investment Management (Switzerland) AG, Zürich Inhaltsverzeichnis Inhaltsverzeichnis 1 Organisation und Management 3 1.1 Fondsleitung 3 1.2 Depotbank / Hauptzahlstelle 3 1.3 Prüfgesellschaft 3 1.4 Delegation der Anlageentscheide 3 1.5 Delegation weiterer Teilaufgaben 3 2 Bericht der Prüfgesellschaft 4 3 Erläuterungen zum Jahresbericht 5 3.1 Grundsätze für die Bewertung sowie für die Berechnung des Nettoinventarwertes 5 3.1.1 Berechnung der Nettoinventarwerte 5 3.1.2 Wechselkurse 5 3.2 Angelegenheiten von besonderer wirtschaftlicher oder rechtlicher Bedeutung 6 3.2.1 Änderungen des Fondsvertrages 6 3.2.2 Kündigung und Auflösung von Teilvermögen 6 3.2.3 Wesentliche Fragen der Auslegung von Gesetz und Fondsvertrag 6 3.2.4 Wechsel von Fondsleitung und Depotbank 6 3.2.5 Änderungen der geschäftsführenden Personen der Fondsleitung 6 3.2.6 Rechtsstreitigkeiten 6 3.3 Übrige Angaben 6 3.3.1 Sacheinlagen SE / Sachauslagen SA 6 3.3.2 Identität der Vertragspartner bei OTC – Geschäften 6 4 INSTITUTIONAL BVG/LPP FLEXIBLE FUND 7 4.1 Vermögensrechnung 7 4.2 Erfolgsrechnung 7 4.3 Veränderung des Nettofondsvermögens 7 4.4 Anteilsscheinverkehr 8 4.5 Ausserbilanzgeschäfte 8 4.6 Kennzahlen und technische Daten 8 4.6.1 Informationen über Kosten und Tracking Error 8 4.6.2 Performancezahlen 9 4.7 Verwendung des Erfolgs 9 4.7.1 Thesaurierungen aus Ertrag 9 4.8 Wertpapierbestand 10 4.8.1 Inventar und Bestandesveränderungen 10 4.8.2 Bewertungskategorien KKV-FINMA Art.
    [Show full text]
  • Volatility Patterns of the Largest Polish Companies (47 - 72)
    47 Krzysztof Drachal RIC VOLATILITY PATTERNS OF THE LARGEST POLISH COMPANIES (47 - 72) VOLATILITY PATTERNS OF THE LARGEST POLISH COMPANIES: SOME EVIDENCE FROM HIGH-FREQUENCY DATA Krzysztof Drachal Krzysztof Drachal Faculty of Economic Sciences, University of Warsaw, Poland, [email protected] Article info Paper category: Original Scientific Paper Received: 18.1.2018. Accepted: 22.3.2018. JEL classification: C32, C58, G10, G17 Keywords Diamond-Verrecchia hypothesis; HAR, high-frequency data; UHF-GARCH; Warsaw Stock Exchange 47 REVIEW OF INNOVATION AND COMPETITIVENESS VOLUME 4 | ISSUE 1 | 2018 ABSTRACT Purpose. The article is focused on the empirical properties of the high-frequency data of 20 selected stocks from the Warsaw Stock Exchange (in particular the ones listed on WIG 20).The intraday data from at least more than 1 year were analysed. In particular, cor- relation between returns and durations were checked. Methodology. Also, the heterogeneous autoregressive model for realized volatility (HAR) was analysed and an attempt to construct the UHF-GARCH model was taken. The HAR model is a linear model and the UHF-GARCH is based on a certain adjustment of physical durations. Then, the standard ARMA-GARCH approach can be considered. Moreover, the hypothesis of Diamond and Verrecchia predicting a negative correlation between price changes and the time passed between transactions was checked. The analysis was done in R statistical software. Findings. The presented research can serve as an introduction to some further (and more thorough and narrow) researches. Except a direct presentation of outcomes from the study of the selected stocks from the Warsaw Stock Exchange, the paper contains quite an extensive literature review on high-frequency data.
    [Show full text]
  • Econometrics 2(23)
    ECONOMETRICS. EKONOMETRIA Advances in Applied Data Analysis Year 2019, Vol. 23, No. 2 ISSN 1507-3866; e-ISSN 2449-9994 CLUSTERING COMPANIES LISTED ON THE WARSAW STOCK EXCHANGE ACCORDING TO TIME-VARYING BETA Piotr Szczepocki University of Lodz, Lodz, Poland e-mail: [email protected] ORCID: 0000-0001-8377-3831 © 2019 Piotr Szczepocki This is an open access article distributed under the Creative Commons Attribution-NonCommercial- -NoDerivs license (http://creativecommons.org/licenses/by-nc-nd/3.0/) DOI: 10.15611/eada.2019.2.05 JEL Classification: C38, C58 Abstract: The beta parameter is a popular tool for the evaluation of portfolio performance. The Sharpe single-index model is a simple regression model in which the stock’s returns are regressed against the returns of a broader index. The beta parameter is a measure of the strength of this relation. Extensive recent research has proved that the beta is not constant in time and should be modelled as a time-variant coefficient. One of the most popular methods of the estimation of a time-varying beta is the Kalman filter. As the output of the Kalman filter, one obtains a sequence of the estimates of a time-varying beta. This sequence shows the historical dynamics of sensitivity of a company’s returns to the variations of market returns. The article proposes a method of clustering companies listed on the Warsaw Stock Exchange according to time-varying betas. Keywords: time series clustering, cluster analysis, time-varying beta. 1. Introduction The Sharpe single-index model [Sharpe 1964] is very popular both among financial practitioners and theoreticians.
    [Show full text]
  • LPP – Forecast of 2018 Q3 Results
    Friday, September 28, 2018 | special comment LPP – Forecast of 2018 Q3 Results Rating: accumulate | target price: PLN 10,200 | current price: PLN 8,725 LPP PW; LPPP.WA | Retail, Poland Analyst: Piotr Bogusz +48 22 438 24 08 LPP has a policy of publishing preliminary quarterly ▪ We expect the 2018 Q3 sales revenue to show a 12% y/y earnings figures in the week immediately following increase to PLN 2,030m, with 4.7% of the growth achieved each quarter, which means we can expect the release through e-commerce. With the sales area in the period any time between next Monday and Friday. Looking at estimated to have expanded by 11%, this indicates the last three months, we are guessing 2018 Q3 sales contraction of roughly 0.7% in the average revenue per might be tight due to unseasonably warm weather at square meter. the time the autumn/winter collections launched in ▪ With the positive effects of cheaper costs paid for the stores in September, underpinned by negative base spring-summer collections, on sale in July and August, effects. With that said, the third quarter weighs mostly offset by low sales in September, we predict that relatively little in building the FY earnings results, plus the gross margin in Q3 grew at a slower annual rate than the missing September foot traffic is set to catch up in in the two quarters prior, rising by a projected 0.7pp to October. As a result, after what we assume will be flat 49.7%. growth in Q3, we are confident LPP is poised for a ▪ SG&A expenses are estimated to have increased 17% y/y stronger earnings rebound in Q4.
    [Show full text]
  • Clustering Companies Listed on the Warsaw Stock Exchange According to Time-Varying Beta
    ECONOMETRICS. EKONOMETRIA Advances in Applied Data Analysis Year 2019, Vol. 23, No. 2 ISSN 1507-3866; e-ISSN 2449-9994 CLUSTERING COMPANIES LISTED ON THE WARSAW STOCK EXCHANGE ACCORDING TO TIME-VARYING BETA Piotr Szczepocki University of Lodz, Lodz, Poland e-mail: [email protected] ORCID: 0000-0001-8377-3831 © 2019 Piotr Szczepocki This is an open access article distributed under the Creative Commons Attribution-NonCommercial- -NoDerivs license (http://creativecommons.org/licenses/by-nc-nd/3.0/) DOI: 10.15611/eada.2019.2.05 JEL Classification: C38, C58 Abstract: The beta parameter is a popular tool for the evaluation of portfolio performance. The Sharpe single-index model is a simple regression model in which the stock’s returns are regressed against the returns of a broader index. The beta parameter is a measure of the strength of this relation. Extensive recent research has proved that the beta is not constant in time and should be modelled as a time-variant coefficient. One of the most popular methods of the estimation of a time-varying beta is the Kalman filter. As the output of the Kalman filter, one obtains a sequence of the estimates of a time-varying beta. This sequence shows the historical dynamics of sensitivity of a company’s returns to the variations of market returns. The article proposes a method of clustering companies listed on the Warsaw Stock Exchange according to time-varying betas. Keywords: time series clustering, cluster analysis, time-varying beta. 1. Introduction The Sharpe single-index model [Sharpe 1964] is very popular both among financial practitioners and theoreticians.
    [Show full text]
  • WOOD's Winter in Prague
    emerging europe conference WOOD’s Winter in Prague Tuesday 5 December to Friday 8 December 2017 Please join us for our flagship event - now in its6th year - spanning 4 jam-packed days. We expect to host over 160 companies representing more than 15 countries. Click here ! For more information please contact Registration closes your WOOD sales representative: Tuesday: Energy, Industrials and Materials Warsaw +48 222 22 1530 Wednesday: TMT and Utilities on 10 November! Prague +420 222 096 453 Thursday: Consumer, Healthcare and Real Estate London +44 20 3530 7685 Friday: Diversified and Financials [email protected] Invited Companies by country Bolded confirmed Austria Iraq PGE PIK Lokman Hekim AT & S DNO PGNiG Polymetal International Migros Ticaret Atrium Genel Energy PKN Orlen Polyus Otokar BUWOG Kazakhstan PKO BP Raven Russia Pegasus Airlines DO&CO KMG EP PKP Cargo Rosneft Petkim Erste Group Bank Nostrum Oil & Gas Prime Car Management Rostelecom Reysas REIT Immofinanz Steppe Cement PZU Rusal Sabanci Holding OMV Lithuania Synthos Severstal Sisecam PORR Siauliu Bankas Tauron Sistema Tat Gida Raiffeisen International Poland Warsaw Stock Exchange Surgutneftegas TAV Strabag Agora Wirtualna Polska Tatneft Tekfen Holding Telekom Austria Alior Bank Work Service Tinkoff Bank Teknosa Uniqa Insurance Group Amica Romania TMK Torunlar REIC Vienna Insurance AmRest Banca Transilvania TransContainer Tofas Warimpex Asseco Poland Bucharest Stock Exchange VTB TSKB Croatia Bank Millennium Conpet X5 Tumosan Podravka Bank Pekao DIGI Yandex Turcas Petrol Czech
    [Show full text]